本文關(guān)鍵詞：半?yún)?shù)面板回歸模型的變點(diǎn)分析　出處：《大連理工大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 半?yún)?shù)面板 變點(diǎn) 兩階段估計(jì) 多項(xiàng)式樣條

【摘要】：在這篇文章中,我們研究的模型是存在變點(diǎn)的面板數(shù)據(jù)的半?yún)?shù)模型,其中變點(diǎn)發(fā)生在某個(gè)未知的時(shí)間或未知位置。半?yún)?shù)模型和面板數(shù)據(jù)是經(jīng)濟(jì)計(jì)量學(xué)的兩個(gè)熱點(diǎn)問題,將半?yún)?shù)模型與面板數(shù)據(jù)結(jié)合起來具有很重要的研究意義,此外考慮到實(shí)際問題中可能發(fā)生變化的情況,本文又在此基礎(chǔ)上引入了變點(diǎn),使得模型能夠應(yīng)用到更廣的領(lǐng)域。首先,我們將面板數(shù)據(jù)的半?yún)?shù)模型和有變點(diǎn)的線性模型結(jié)合,提出了有變點(diǎn)的面板數(shù)據(jù)的半?yún)?shù)模型,對(duì)于單變點(diǎn)的情況,我們提出了兩種不同形式的模型：一種是變點(diǎn)只發(fā)生在線性部分；另一種情況是變點(diǎn)發(fā)生在每一個(gè)半?yún)?shù)部分。我們的首要任務(wù)是將非參數(shù)部分轉(zhuǎn)化為參數(shù)形式的表達(dá)式,這里我們分別采用兩階段局部估計(jì)法和多項(xiàng)式樣條法來解決這個(gè)問題,然后要給出變點(diǎn)的估計(jì),這里采用常見的最小二乘方法來估計(jì)變點(diǎn)。其次,我們分別做了單變點(diǎn)和兩變點(diǎn)的模擬,并將其與線性模型的變點(diǎn)估計(jì)情況進(jìn)行比較。從模擬的結(jié)果中我們發(fā)現(xiàn),與有變點(diǎn)的面板數(shù)據(jù)線性模型相比較,隨著樣本容量的增大,面板數(shù)據(jù)的半?yún)?shù)模型的變點(diǎn)位置趨于穩(wěn)定的速度更快,并且回歸系數(shù)的估計(jì)也更加準(zhǔn)確。從模擬結(jié)果可以得出本文模型的建立是有意義的。最后,我們進(jìn)行了實(shí)證分析。主要運(yùn)用中國(guó)12家銀行在2008年至2014年間,股東回報(bào)率、資本充足率以及流動(dòng)性比率的面板數(shù)據(jù),通過對(duì)三者的關(guān)系進(jìn)行分析,我們給出變點(diǎn)的估計(jì)值和系數(shù)的估計(jì)值。
[Abstract]:In this paper, we study a semi-parametric model of panel data with variable points. The semi-parametric model and panel data are two hot topics in econometrics. It is very important to combine semi-parametric model with panel data. In addition, considering the possible changes in the actual problems, this paper introduces the change points on this basis, which makes the model can be applied to a wider range of fields. First of all. We combine the semi-parametric model of panel data with the linear model with variation points, and propose a semi-parametric model of panel data with variable points, for the case of single change point. We propose two different models: one is that the change points occur only in the linear part; In another case, the change occurs in every semi-parametric part. Our first task is to convert the nonparametric part into an expression in the form of a parameter. Here we use the two-stage local estimation method and polynomial spline method to solve this problem, then we give the estimation of the change point, here we use the common least square method to estimate the change point. Secondly, we use the least square method to estimate the change point. Second, we use the least square method to estimate the change point. We do the simulation of single change point and two change point respectively, and compare them with the change point estimation of linear model. From the simulation results, we find that it is compared with the panel data linear model with the change point. With the increase of sample size, the change point position of the semi-parametric model of panel data tends to stabilize faster. And the estimation of regression coefficient is more accurate. From the simulation results can be concluded that the establishment of this model is meaningful. Finally. We have conducted empirical analysis. We mainly use the panel data of 12 Chinese banks from 2008 to 2014 on the return of shareholders, capital adequacy ratio and liquidity ratio. Through the analysis of the three relations, we give the estimated values of the change points and the coefficients.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.3;F224

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 王維國(guó);殷亮;;半?yún)?shù)趨勢(shì)閾值面板模型及其參數(shù)估計(jì)[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2014年09期

相關(guān)博士學(xué)位論文 前1條

1 李紅梅;居民收入的分位數(shù)回歸與反事實(shí)因素分解[D];首都經(jīng)濟(jì)貿(mào)易大學(xué);2012年

，

本文編號(hào)：1419249